After accidentally quitting Tiger's X11 client with no warning -- losing the contents of several important windows -- I was annoyed to find no preference setting to prevent this from happening. Fortunately there are two solutions. Either one should help, but there's no harm in doing both.

Quit X11, then in Terminal.app, type defaults write com.apple.x11 "no_quit_alert" false and press Return. Restart X11, and the the next time you try to quit X11.app, you'll be asked to confirm that you want to quit. I'm not sure what the default is; in my case it was set to "false.")

Remove Command-Q from the File menu. In the Finder, select the X11 program, control- or right-click, and select "Show Package Contents." Then (if you have Developer Tools installed), double click on Contents -> Resources -> English.lproj -> main.nib to open Interface Builder, and you can delete the command-Q from the File menu in the X11 main menu.

[robg adds: My Tiger X11 client already provides this warning if I try to quit, and when I checked the existing settings via defaults read com.apple.x11, I found only one entry ("done_xinit_check" = 1;). A much older hint explains how to disable this quit dialog as well, so it seems this has been the default setting for quite a while. If you're looking for other solutions, here's a third workaround: just use the Keyboard & Mouse preferences panel to change the Quit key assignment in X11 to Control-Command-Q (or something similarly obscure).

I'm not sure how the poster's settings got tweaked, but if you don't receive the warning, this hint will fix the problem.]